The Basel II risk parameters

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The Basel II risk parameters : estimation, validation, and stress testing / Bernd Engelmann, Robert Rauhmeier (editors). Author: Publisher: Berlin ; New York : Springer, c2006. ISBN: 3540330852 (hardcover : alk. paper) Format: Book Physical Description: xv, 376 p. : ill. ; 24 cm. Subjects: Credit Mathematical models Risk Mathematical models Credit ratings Mathematical models

I

Statistical Methods to Develop Rating Models

1

II

Estimation of a Rating Model for Corporate Exposures

13

III

Scoring Models for Retail Exposures

25

IV

The Shadow Rating Approach - Experience from Banking Practice

39

V

Estimating Probabilities of Default for Low Default Portfolios

79

VI

A Multi-Factor Approach for Systematic Default and Recovery Risk

105

VII

Modelling Loss Given Default: A "Point in Time"-Approach

127

VIII

Estimating Loss Given Default - Experiences from Banking Practice

143

IX

Overview of EAD Estimation Concepts

177

X

EAD Estimates for Facilities with Explicit Limits

197

XI

Validation of Banks' Internal Rating Systems - A Supervisory Perspective

243

XII

Measures of a Rating's Discriminative Power - Applications and Limitations

263

XIII

Statistical Approaches to PD Validation

289

XIV

PD-Validation - Experience from Banking Practice

307

XV

Development of Stress Tests for Credit Portfolios

347

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关键词：parameters Parameter Basel II paramete Meters The Risk Basel parameters

why i can't open the full text 5?

是的，文件破损

楼主，已买文件。但是text5的文件压缩似乎有问题。请帮忙发到邮箱monyert@163.com。多谢！

1# zync100

thank you very much

very useful stuff, thanks so much

谢谢楼主的分享